• We are pleased to announce that the winner of our Feedback Prize Draw for the Winter 2024-25 session and winning £150 of gift vouchers is Zhao Liang Tay. Congratulations to Zhao Liang. If you fancy winning £150 worth of gift vouchers (from a major UK store) for the Summer 2025 exam sitting for just a few minutes of your time throughout the session, please see our website at https://www.acted.co.uk/further-info.html?pat=feedback#feedback-prize for more information on how you can make sure your name is included in the draw at the end of the session.
  • Please be advised that the SP1, SP5 and SP7 X1 deadline is the 14th July and not the 17th June as first stated. Please accept out apologies for any confusion caused.

CiD Spec 1999/Q2 (iii)

D

derivatives

Member
The solution says
The price of the call option is
29.5031 × 0.6205 − 29exp(−0.125×0.05) × 0.5645

Why is the time to maturity 0.125 (1.5 months) instead of 0.3333 (4 months)?

Also, would it be correct to use the Black-Scholes formula with dividend rate q for this question? I assume the solution doesn't use it because the dividend is paid at a discrete time rather than continuously?


Thanks
 
You must log in or register to reply here.
Back
Top